New research directions in modern actuarial sciences

E Bulinskaya - Modern Problems of Stochastic Analysis and Statistics …, 2017 - Springer
The aim of the paper is to outline the new trends in modern actuarial sciences in order to
help the researchers to find new domains of activity and university professors teaching future …

Robust distortion risk measures

C Bernard, SM Pesenti, S Vanduffel - Mathematical Finance, 2024 - Wiley Online Library
The robustness of risk measures to changes in underlying loss distributions (distributional
uncertainty) is of crucial importance in making well‐informed decisions. In this paper, we …

Multiplicative background risk models: Setting a course for the idiosyncratic risk factors distributed phase-type

E Furman, Y Kye, J Su - Insurance: Mathematics and Economics, 2021 - Elsevier
Multiplicative background risk models in which the idiosyncratic risk factors are assumed to
be distributed exponentially, and the systemic risk factor has an arbitrary distribution on the …

Measuring portfolio risk under partial dependence information

C Bernard, M Denuit, S Vanduffel - Journal of Risk and …, 2018 - Wiley Online Library
The bounds for risk measures of a portfolio when its components have known marginal
distributions but the dependence among the risks is unknown are often too wide to be useful …

Risk aggregation and capital allocation using a new generalized Archimedean copula

F Marri, K Moutanabbir - Insurance: Mathematics and Economics, 2022 - Elsevier
In this paper, we address risk aggregation and capital allocation problems in the presence of
dependence between risks. The dependence structure is defined by a mixed Bernstein …

Aggregation of dependent risks in mixtures of exponential distributions and extensions

JM Sarabia, E Gómez-Déniz, F Prieto… - ASTIN Bulletin: The …, 2018 - cambridge.org
The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk
management and in many branches of applied probability. In this paper, we obtain analytic …

Portfolio credit risk with Archimedean copulas: asymptotic analysis and efficient simulation

H Cui, KS Tan, F Yang - Annals of Operations Research, 2024 - Springer
In this paper, we study large losses arising from defaults of a credit portfolio. We assume that
the portfolio dependence structure is modelled by the Archimedean copula family as …

Dependent risk models with Archimedean copulas: A computational strategy based on common mixtures and applications

H Cossette, E Marceau, I Mtalai, D Veilleux - Insurance: Mathematics and …, 2018 - Elsevier
In this paper, we investigate dependent risk models in which the dependence structure is
defined by an Archimedean copula. Using such a structure with specific marginals, we …

Weighted risk capital allocations in the presence of systematic risk

E Furman, A Kuznetsov, R Zitikis - Insurance: Mathematics and Economics, 2018 - Elsevier
Determining aggregate risk capital is a fundamental problem of modern Enterprise Risk
Management, and the determination process has been fairly well studied. The allocation …

On a renewal risk process with dependence under a Farlie–Gumbel–Morgenstern copula

S Chadjiconstantinidis, S Vrontos - Scandinavian Actuarial Journal, 2014 - Taylor & Francis
In this article, we consider an extension to the renewal or Sparre Andersen risk process by
introducing a dependence structure between the claim sizes and the interclaim times …